Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0007
Annualized Std Dev 0.1522
Annualized Sharpe (Rf=0%) -0.0047

Row

Daily Return Statistics

Close
Observations 5575.0000
NAs 1.0000
Minimum -0.1827
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0043
Maximum 0.2011
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0096
Skewness -0.1607
Kurtosis 69.7133

Downside Risk

Close
Semi Deviation 0.0069
Gain Deviation 0.0072
Loss Deviation 0.0079
Downside Deviation (MAR=210%) 0.0120
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.5273
Historical VaR (95%) -0.0136
Historical ES (95%) -0.0218
Modified VaR (95%) -0.0027
Modified ES (95%) -0.0027
From Trough To Depth Length To Trough Recovery
2004-01-27 2008-10-10 NA -0.5273 4311 1180 NA
1999-07-26 1999-12-30 2001-08-02 -0.2574 510 111 399
2003-06-19 2003-08-15 2004-01-21 -0.1248 147 40 107
2001-08-07 2002-04-19 2002-07-18 -0.1220 235 173 62
2002-08-21 2002-10-21 2003-01-27 -0.0977 108 42 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -2 0 0 0.8 0 0.8 0.4 0.4 -0.8 -0.4 0.9 0 0
2000 0.5 0 0.9 0 0.4 0.4 0.4 0 0.4 1.7 0.9 0.4 6.3
2001 0 0 0.4 0 0.2 0.5 0.1 0 -0.3 0 0 0.4 1.3
2002 -1.4 0.8 0.4 1.9 0.4 1.2 0.6 -0.2 0 1.5 0.5 1.1 7.2
2003 -1.4 0.6 -0.5 0.8 -0.7 -0.3 -1 0.1 0.1 0.5 -1.3 -1.5 -4.5
2004 -0.8 1 -0.3 -1.3 0.7 1.7 1.2 1.4 -1.1 1.5 -0.7 0.9 4.2
2005 1.4 -0.4 -0.4 0.4 0.2 2.3 -0.8 -0.4 0.6 -0.2 1.1 0.4 4.2
2006 -0.6 0.6 0.2 1.4 0.6 0.1 1.5 0.5 0.1 0.9 0.1 0.9 6.3
2007 0.8 -0.9 1.2 -0.7 0.1 0.1 0.1 0.9 -0.1 -0.4 0.8 1.4 3.3
2008 0.1 -1.3 0.2 -0.1 -0.7 0.5 0.4 0.4 1.2 -1.6 1.8 0.4 1.3
2009 -0.8 -0.7 0.4 0.9 -0.4 0.8 1.3 0.1 1.5 2.8 1 0.8 8
2010 0.5 0.7 -0.7 0.7 0.6 0.4 0.8 -0.2 -0.4 -0.6 -0.5 2.1 3.2
2011 1.1 1.6 -0.3 -0.2 1.9 -0.8 1.2 -0.3 0.3 1 1.3 0.6 7.5
2012 1.1 0.9 -0.4 3.6 -0.3 -1.2 -0.5 0.5 1.1 0.2 0.9 -0.4 5.4
2013 -0.2 0.5 0.9 0.2 -0.8 -0.6 -0.8 -0.7 1 -0.9 0.3 -0.4 -1.5
2014 0.4 0.3 -0.7 0.6 0.1 -0.2 0.2 0.8 0.7 0.5 -0.4 -0.2 2.3
2015 0.6 0.4 0.4 -0.1 0.8 -0.3 1.9 0.4 0.1 1.4 -0.3 0.1 5.7
2016 0.8 0.8 -1.7 -0.1 0.8 0.8 0 0.3 0.5 1 -0.9 0.5 2.8
2017 -0.5 -0.5 0.2 0 0.2 -0.3 0 -0.1 0.3 0.2 0.2 0 -0.3
2018 -0.2 -0.6 -0.2 -0.2 0.2 0.2 0.2 0.2 0.2 0.3 0.4 0.4 1
2019 -0.5 -0.1 0.2 0.4 0 -0.1 0.7 0.1 0 0.4 0.1 0.3 1.6
2020 -0.1 -1.6 -3.3 0.8 0.5 0.8 0.6 0.5 0.6 -0.2 0.1 -0.9 -2.4
2021 -0.6 1.3 1.6 NA NA NA NA NA NA NA NA NA 2.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart